Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios
Year of publication: |
2012
|
---|---|
Authors: | Yamanaka, Suguru ; Sugihara, Masaaki ; Nakagawa, Hidetoshi |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 19.2012, 1, p. 43-62
|
Publisher: |
Springer |
Subject: | Credit risk | Rating change | Self-exciting intensity model | State-dependent | Top-down approach |
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